Stopping Behaviors of Naïve and Non-Committed Sophisticated Agents when They Distort Probability - Agropolis Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2017

Stopping Behaviors of Naïve and Non-Committed Sophisticated Agents when They Distort Probability

Comportement d'arrêt des agents naïfs et sophistiqués sous distorsion des probabilités perçues

Résumé

We consider the problem of stopping a diffusion process with a payoff functional involving probability distortion. The problem is inherently time-inconsistent as the level of distortion of a same event changes over time. We study stopping decisions of na¨ıvena¨ıve agents who reoptimize continuously in time, as well as equilibrium strategies of sophisticated agents who anticipate but lack control over their future selves' behaviors. When the state process is one dimensional and the payoff functional satisfies some regularity conditions, we prove that any equilibrium can be obtained as a fixed point of an operator. This operator represents strategic reasoning that takes the future selves' behaviors into account. In particular, we show how such strategic reasoning may turn a na¨ıvena¨ıve agent into a sophisticated one. Finally, when the diffusion process is a geometric Brownian motion we derive stopping strategies of these two types of agent for various parameter specifications of the problem, illustrating rich behaviors beyond the extreme ones such as " never-stopping " or " never-starting ".
Fichier principal
Vignette du fichier
HNZ_2017_08.pdf (451.39 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01586655 , version 1 (13-09-2017)

Identifiants

Citer

Yu-Jui Huang, Adrien Nguyen-Huu, Xun Yu Zhou. Stopping Behaviors of Naïve and Non-Committed Sophisticated Agents when They Distort Probability. 2017. ⟨hal-01586655⟩
460 Consultations
188 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More